Tuesdays are all about academic (and practitioner) literature at Abnormal Returns. You can check out last week’s links including a look at concerns with the five-factor model.
Research links
- Long-short strategies are harder to implement than thought. (blog.alphaarchitect.com)
- The risks of low-vol strategies. (investingresearch.net)
- How factor diversification can put the odds in your favor. (etf.com)
- Some implications on the application of momentum to ETFs. (beta.morningstar.com)
- You can still get "Quantitative Momentum" by Wes Gray and Jack Vogel for just $14.99 through Amazon. (amazon.com)
- How Morningstar fund ratings do in predicting future performance. (corporate1.morningstar.com)
- How AHL is using machine-learning to identify new strategies. (bloomberg.com)
- US equity trading costs are at record lows. (researchaffiliates.com)
- How much do underwriters compete in the IPO market? (corpgov.law.harvard.edu)
